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Universite Paris-Dauphine Research Papers Series

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Viewing: 1 - 50 of 322 papers

1.

Live Fast, Die Young: Equilibrium and Survival in Large Economies

Economic Theory, Forthcoming, Université Paris-Dauphine Research Paper No. 3603872
Number of pages: 47 Posted: 11 Jun 2020
Accepted Paper Series
Université Paris Dauphine - Department of Finance and Univ. Paris Dauphine - CEREMADE
Downloads 11
2.

Adoption of IAS/IFRS, Liquidity Constraints, and Credit Rationing: The Case of the European Banking Industry

Quarterly Review of Economics and Finance, Vol. 63, 2017, Université Paris-Dauphine Research Paper No. 3601597
Posted: 09 Jun 2020
Accepted Paper Series
Université Paris-Dauphine, PSL Research University
3.

'banks' earnings': Empirical Evidence of the Influence of Economic and Financial Market Factors

Review of Financial Economics, Vol. 36, No. 2, 2018, Université Paris-Dauphine Research Paper No. 3601583
Posted: 09 Jun 2020
Accepted Paper Series
Université Paris-Dauphine, PSL Research University
4.

The Impact of SNCF Strike on Ridesharing: A Novel Approach of Consumer Surplus Estimation Using BlaBlaCar.com Data

Université Paris-Dauphine Research Paper No. 3578412
Number of pages: 42 Posted: 12 May 2020 Last Revised: 16 Jul 2020
Working Paper Series
KU Leuven and University of Paris-Dauphine, PSL Research University
Downloads 28
5.

A Policy Iteration Algorithm for Nonzero-Sum Stochastic Impulse Games

ESAIM: ProcS: 27-45, 2019, Université Paris-Dauphine Research Paper No. 3530120
Number of pages: 23 Posted: 27 Feb 2020
Accepted Paper Series
Université Paris-Dauphine, affiliation not provided to SSRN, Ecole Nationale d'Ingénieurs de Tunis (ENIT), London School of Economics & Political Science (LSE) and affiliation not provided to SSRN
Downloads 3
6.

Futures Market Liquidity and the Trading Cost of Trend Following Strategies

Université Paris-Dauphine Research Paper No. 3523005
Posted: 14 Feb 2020
Working Paper Series
KeyQuant and Université Paris Dauphine - DRM-CEREG
7.

Diversifying Trends

Université Paris-Dauphine Research Paper No. 3523001
Number of pages: 41 Posted: 14 Feb 2020
Working Paper Series
KeyQuant and Université Paris Dauphine - DRM-CEREG
Downloads 110
8.

Gender Pay Gap, Labor Unions and Firm Performance

Université Paris-Dauphine Research Paper No. 3519647
Number of pages: 45 Posted: 03 Feb 2020
Working Paper Series
Université Paris-Dauphine, PSL Research University and Université Paris-Dauphine, PSL Research University
Downloads 74
9.

Mixture of Distribution Hypothesis: Analyzing Daily Liquidity Frictions and Information Flows

Journal of Econometrics, Vol. 201, 2017, Université Paris-Dauphine Research Paper No. 3515235
Posted: 30 Jan 2020
Accepted Paper Series
Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
10.

Untangling Systemic Risk in Financialized Commodity Markets

Université Paris-Dauphine Research Paper No. 3508275
Number of pages: 54 Posted: 14 Jan 2020
Working Paper Series
Paris Dauphine University, Department of Finance
Downloads 43
11.

Gradual College Admission

Université Paris-Dauphine Research Paper No. 3488038, Baruch College Zicklin School of Business Research Paper No. 2019-11-03
Number of pages: 37 Posted: 01 Dec 2019 Last Revised: 16 Dec 2019
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Université Paris Dauphine - CEREMADE
Downloads 7
12.

Encouraging Long-Term Shareholders: The Effects of Loyalty Shares with Double Voting Rights

Université Paris-Dauphine Research Paper No. 3475429, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 43 Posted: 29 Oct 2019
Working Paper Series
Université de Cergy-Pontoise, Université Paris-Dauphine, PSL Research University and University of Texas at Austin - Department of Finance
Downloads 153
13.

Does Debt Curb Controlling Shareholders’ Private Benefits? Modelling in a Contingent Claim Framework

Université Paris-Dauphine Research Paper No. 3447201
Number of pages: 55 Posted: 07 Sep 2019
Working Paper Series
Université Paris Dauphine
Downloads 14
14.

Build or Buy? Human Capital and Corporate Diversification

Fisher College of Business Working Paper No. 2019-03-018, Charles A. Dice Center Working Paper No. 2019-18, Université Paris-Dauphine Research Paper No. 3444992
Number of pages: 76 Posted: 30 Aug 2019
Working Paper Series
Paris Dauphine University, University of Toronto - Rotman School of Management and Ohio State University (OSU)

Multiple version iconThere are 2 versions of this paper

Downloads 293
15.

Granular Borrowers

Université Paris-Dauphine Research Paper No. 3391768
Number of pages: 54 Posted: 07 Jun 2019
Working Paper Series
Paris Dauphine University, Banque de France and University of Orleans
Downloads 37
16.

NGO-GM: Natural Gradient Optimization for Graphical Models

Université Paris-Dauphine Research Paper No. 3387874
Number of pages: 18 Posted: 03 Jun 2019
Working Paper Series
A.I. Square Connect, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and A.I. Square Connect
Downloads 9
17.

Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies

Université Paris-Dauphine Research Paper No. 3380239
Number of pages: 37 Posted: 28 May 2019 Last Revised: 14 Jan 2020
Working Paper Series
Amundi Asset Management, Capital Fund Management, Université Paris Dauphine - PSL and Euronext Paris
Downloads 203
18.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Vol. 24, No.1, 58-78, 2016, https://doi.org/10.3905/jod.2016.24.1.058
Posted: 20 May 2019 Last Revised: 09 Aug 2019
Accepted Paper Series
University of Liverpool, NEOMA Business School, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
19.

Are Global Value Chains Receding? The Jury Is Still Out. Key Findings from the Analysis of Deflated World Trade in Parts and Components

Banque de France Working Paper March 2019, WP #715 , Université Paris-Dauphine Research Paper No. 3359558
Number of pages: 41 Posted: 25 Mar 2019
Working Paper Series
Banque de France, Université Paris-Dauphine, PSL Research University and Centre d'Etudes Prospectives et d'Info. Internationales (CEPII)
Downloads 30
20.

Gender Pay Gap in French Public Administration: An Application of a Novel Three-Step Approach of Blinder-Oaxaca Decomposition with Fixed Effect Model

Université Paris-Dauphine Research Paper No. 3337866
Number of pages: 26 Posted: 12 Mar 2019
Working Paper Series
Ecole des Ponts ParisTech and KU Leuven
Downloads 21
21.

Multiproduct Retailing and Consumer Shopping Behavior: The Role of Shopping Costs

Université Paris-Dauphine Research Paper No. 3327387, International Journal of Industrial Organization, Vol. 68, January 2020, 102560.
Number of pages: 60 Posted: 12 Feb 2019 Last Revised: 15 Jan 2020
Accepted Paper Series
Universidad del Rosario and Université Paris-Dauphine
Downloads 22
22.

Climate Risk and Capital Structure

Université Paris-Dauphine Research Paper No. 3327185
Number of pages: 44 Posted: 12 Feb 2019
Working Paper Series
Université Paris-Dauphine, PSL Research University and Université Paris-Dauphine, PSL Research University
Downloads 673
23.

Tick Size, Trading Strategies and Market Quality

Fisher College of Business Working Paper No. 2019-03-03, Charles A. Dice Center Working Paper No. 2019-3, Université Paris-Dauphine Research Paper No. 3330807
Number of pages: 54 Posted: 08 Feb 2019
Working Paper Series
The Ohio State University - Fisher College of Business, The University of Western Australia - Department of Accounting and Finance, Bocconi University and IGIER and Baffi Carefin and Université Paris Dauphine - Department of Finance
Downloads 631
24.

Is Bigger Always Better? the Unit Effect in Carbon Emissions Information

International Journal of Research in Marketing (Replication Corner), 2016, 33(1), Université Paris-Dauphine Research Paper No. 3309209
Number of pages: 11 Posted: 16 Jan 2019
Working Paper Series
Erasmus University, Rotterdam School of Management, University Paris-Est Créteil (UPEC) and Paris-Dauphine University
Downloads 5
25.

Smart Systemic-Risk Scores

Number of pages: 49 Posted: 06 Nov 2018 Last Revised: 17 Dec 2018
Working Paper Series
Université Paris Dauphine - LEDa-SDFi
Downloads 103
26.

Tying Allocation to Selection in the Core-Satellite Framework

Number of pages: 22 Posted: 27 Aug 2018 Last Revised: 10 Sep 2018
Working Paper Series
University of Paris 9 Dauphine, DRM-Finance
Downloads 36
27.

Building a Customer Base Under Liquidity Constraints

Number of pages: 79 Posted: 25 Aug 2018 Last Revised: 21 Jan 2020
Working Paper Series
Paris Dauphine University and National Institute of Statistics and Economic Studies (INSEE), Center for Research in Economics and Statistics (CREST), Students
Downloads 39
28.

Trends Everywhere? The Case of Hedge Fund Styles

Number of pages: 45 Posted: 20 Aug 2018 Last Revised: 05 Nov 2019
Working Paper Series
KeyQuant and Université Paris Dauphine - DRM-CEREG

Multiple version iconThere are 2 versions of this paper

Downloads 130
29.

Bivariate INAR Processes with Application to Mutual Fund Share Purchase/Redemption Counts

Number of pages: 47 Posted: 14 Aug 2018
Working Paper Series
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, University of Paris 13 and Université Paris-Dauphine, PSL Research University
Downloads 35
30.

The Role of Financial Investors in Determining the Commodity Futures Risk Premium

Journal of Futures Markets (forthcoming)
Number of pages: 25 Posted: 14 Aug 2018 Last Revised: 20 Apr 2020
Accepted Paper Series
Paris Dauphine University, PSL Research University
Downloads 50
31.

Implementing the Median

UNSW Business School Research Paper No. 2018-11
Number of pages: 15 Posted: 12 Jul 2018
Working Paper Series
Université Paris Dauphine, University of New South Wales (UNSW) and University of Cyprus
Downloads 38
32.

Pricing Without Martingale Measure

Number of pages: 33 Posted: 30 Jun 2018
Working Paper Series
Université Paris Dauphine - PSL Research University, Université Paris VII Denis Diderot and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 33
33.

Is Destiny Worth the Distance? On Private Equity in Emerging Markets

Number of pages: 52 Posted: 05 Jun 2018
Working Paper Series
Université Paris Dauphine - Department of Finance, Paris Dauphine University and Glion Institute of Higher Education

Multiple version iconThere are 2 versions of this paper

Downloads 40
34.

Build or Buy? Human Capital and Corporate Diversification

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 41 Posted: 05 Jun 2018 Last Revised: 01 Oct 2019
Working Paper Series
Paris Dauphine University, University of Toronto - Rotman School of Management and Ohio State University (OSU)

Multiple version iconThere are 2 versions of this paper

Downloads 42
35.

Do Institutional Investors Play Hide-and-Sell in the IPO Aftermarket?

Journal of Corporate Finance, Forthcoming
Number of pages: 67 Posted: 04 Jun 2018 Last Revised: 10 Apr 2020
Accepted Paper Series
Université Paris Dauphine - PSL and Vienna University of Economics and Business
Downloads 75
36.

Are Investors Aware of Ownership Connections?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 48 Posted: 29 May 2018
Working Paper Series
Université Paris-Dauphine, PSL Research University, University of Toronto - Rotman School of Management and Tilburg University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 83
38.

Stereotypes, Underconfidence and Decision-Making with an Application to Gender and Math

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 28 Posted: 21 Feb 2018
Accepted Paper Series
Univ. Paris Dauphine - CEREMADE, ESCP Europe - Department of Finance and CNRS and Université Paris-Dauphine
Downloads 73
39.

Intrinsic Liquidity in Conditional Volatility Models

Annals of Economics and Statistics, Vol. 123/124, Dec. 2016, 225-246
Number of pages: 28 Posted: 20 Nov 2017
Accepted Paper Series
Université Paris Dauphine - DRM-CEREG, University of Lille III, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and CREST
Downloads 32
40.

Gauging Liquidity Risk in Emerging Market Bond Index Funds

Annals of Economics ans Statistics, Vol 123/124, Dec. 2016, 247-269
Posted: 20 Nov 2017
Accepted Paper Series
Université Paris Dauphine - DRM-CEREG, National Institute of Statistics and Economic Studies (INSEE) - Laboratory of Finance and Insurance and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
41.

Would a Euro's Depreciation Improve the French Economy?

IZA Discussion Paper No. 11094
Number of pages: 58 Posted: 23 Oct 2017
Working Paper Series
Université Paris XIII Nord, University of Verona, Université Paris Dauphine and University of the Balearic Islands - Facultat de Ciències Econòmiques i Empresarials
Downloads 9
42.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Working Paper Series
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 2,357
43.

Connected Firms and Investor Myopia

CentER Discussion Paper Series No. 2017-037
Number of pages: 51 Posted: 22 Sep 2017
Working Paper Series
Université Paris-Dauphine, PSL Research University, University of Toronto - Rotman School of Management and Tilburg University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 74
44.

A Joint Model for Electricity Spot Prices and Wind Penetration with Dependence in the Extremes

Number of pages: 19 Posted: 05 Sep 2017
Working Paper Series
Université Paris Dauphine and Imperial College London
Downloads 79
45.

Non-Additivity in Accounting Valuation: Theory and Applications

Forthcoming, Abacus, HEC Paris Research Paper No. ACC-2017-1227
Number of pages: 43 Posted: 31 Aug 2017 Last Revised: 28 Nov 2017
Accepted Paper Series
HEC Paris, Accounting and Management Control Department, University Paris-Dauphine - DRM Finance and HEC Paris - Accounting and Management Control Department

Multiple version iconThere are 2 versions of this paper

Downloads 100
46.

Equilibrium Returns with Transaction Costs

Number of pages: 27 Posted: 29 Jul 2017 Last Revised: 13 Mar 2018
Working Paper Series
Université Paris Dauphine - CEREMADE, Osaka University, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 180
47.

Closing the Gap: Gender Quotas and Corporate Board Composition

ECGI - Finance Working Paper No. 520/2017
Number of pages: 70 Posted: 26 Jun 2017 Last Revised: 17 Feb 2020
Accepted Paper Series
London School of Economics - Department of Finance, Université Paris-Dauphine, PSL Research University, Université Paris Dauphine - DRM-CEREG and Université Paris Dauphine

Multiple version iconThere are 2 versions of this paper

Downloads 440
48.

On the Performance of Listed Private Equity

Number of pages: 41 Posted: 06 Jun 2017 Last Revised: 05 Jun 2018
Working Paper Series
Paris Dauphine University and Université Paris Dauphine - DRM-CEREG
Downloads 181
49.

Organizational Configurations for Sustainability and Employee Productivity: A Qualitative Comparative Analysis Approach

Business & Society, Forthcoming
Number of pages: 21 Posted: 17 Apr 2017
Accepted Paper Series
University of California, Los Angeles (UCLA) and Université Paris - Dauphine
Downloads 65
50.

Du Tunindex au Tunindex-i: Structure et Performance (From Tunindex to Tunindex-i: Structure and Performance)

Number of pages: 11 Posted: 24 Mar 2017 Last Revised: 24 Mar 2017
Working Paper Series
UIR, RBS College of Management, BEAR Lab, Conservatoire des Arts et Metiers (CNAM) and ESTIM Université
Downloads 79